EXPECTED RETURNS, TIME-VARYING RISK, AND RISK PREMIA

• 成果类型: Note
• 署名作者: EVANS, MDD
• 刊物名称: JOURNAL OF FINANCE
• ISSN/ISSBN: 0022-1082
• DOI: 10.2307/2329167
• 发表日期: 1994
• 页码: 655-679
• 关键词: asset pricing-models; stock returns; tests; COVARIANCES; MARKETS; CAPM

摘要

A new empirical model for intertemporal capital asset pricing is presented that allows both time-varying risk premia and betas where the latter are identified from the dynamics of the conditional covariance of returns. The model is more successful in explaining the predictable variations in excess returns when the returns on the stock market and corporate bonds are included as risk factors than when,the stock market is the single factor. Although changes in the covariance of returns induce variations in the betas, most of the predictable movements in returns are attributed to changes in the risk premia.